REALISED HEDGE RATIO PROPERTIES, PERFORMANCE

AND IMPLICATIONS FOR RISK MANAGEMENT: EVIDENCE FROM THE SPANISH IBEX 35 SPOT

AND FUTURES MARKETS

DAVID G MCMILLAN RAQUEL QUIROGA GARCÍA

FUNDACIÓN DE LAS CAJAS DE AHORROS DOCUMENTO DE TRABAJO

Nº 509/2010

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Las opiniones son responsabilidad de los autores.

REALISED HEDGE RATIO PROPERTIES, PERFORMANCE AND IMPLICATIONS FOR RISK MANAGEMENT:

EVIDENCE FROM THE SPANISH IBEX 35 SPOT AND FUTURES MARKETS

David G McMillan* Raquel Quiroga García**

Abstract This paper analysis the properties and performance of daily realised futures hedge

ratios. Using five-minute data for the Spanish IBEX-35 equity spot and futures market

realised variances, covariances and hedge ratios are constructed. To measure

performance we compared a hedged portfolio based upon the realised hedge ratio with

hedged portfolios constructed using a constant regression based hedge ratio, a time-

varying rolling regression hedge ratio favoured within the finance industry and a time-

varying bivariate-GARCH hedge ratio favoured within the academic community. Our

results suggest that solely in terms of minimising portfolio variance the static

regression, rolling regression and GARCH based methods obtain the smallest portfolio

variances; however, this was often at the expense of negative mean values. In contrast,

measuring performance that takes into account portfolio mean and variance using the

Sharpe ratio, the portfolio based on the realised hedge ratio is almost unanimously

favoured.

Keywords: Realised Variance, Hedge Ratio, Futures Market JEL classification: C22, G13

Corresponding author: Raquel Quiroga García. Dept. Quantitative Economics, Faculty of Economics and Business, University of Oviedo, Spain (33006). E-mail: rquiroga@uniovi.es

*School of Management, University of St Andrews **Dept. Quantitative Economics, Faculty of Economics and Business, University of Oviedo

1

1. Introduction.

It is argued that futures markets are one of the most important innovations

that affect the quality of information about future price movements (Figlewski,

1984). A futures contract is an agreement between two parties in which they

commit to engage in trade at a point in the future for a prespecified price.

Thus, futures markets provide two main functions, risk transfer and price

discovery. Risks are transferred to those willing to bear them, that is, hedgers

reduce their risk by paying a premium to speculators. While the existence of

futures trading enhances the ability of traders to form expectations about

future spot prices (Silber, 1985). Thus, the analysis of futures markets tends

to focus on either risk management and the appropriate use of futures

contracts to optimally hedge risk or price discovery, the aim of this paper is to

examine the former.

The traditional approaches to the use of futures for hedging purposes

has been either to adopt a naive one-to-one hedging ratio, where an equal

and opposition position in futures is taken relative to the position in cash, or to

determine the optimal hedge ratio using simple regression techniques but to

assume that this ratio will remain constant over the relevant time horizon.

However, empirical financial markets research over the past two decades has

supported the view that asset returns volatility is time-varying and, in

particular, exhibits ‘clustering’, such that large (small) returns follow large

(small) returns of random sign (Mandelbrot, 1963, Fama, 1965). The

development of the academic literature has been conducted along lines such

that the standard way of specifying volatility is through the generalised

autoregressive conditional heteroscedasticity (GARCH) model (Engle, 1982,

Bollerslev, 1986) and its variants. However, such a model is typically viewed

as too cumbersome in risk management practice due to the large number of

parameters required in estimated and various other restrictions required to

ensure stability of the model. Standard risk management practice is thus to

estimate the least squares model and introduce time-variation through

windowed estimation.

Thus, a key question remains, given time-variation in variances and

correlations, how is it best to understand and formally characterise their

properties, and estimate and forecast their values, in order to obtain optimal

2

hedge ratios. Furthermore, recent developments in the academic field on

volatility prediction have provided methods to obtain both accurate volatility

forecasts and characterisations of volatility dynamics, including the nature of

time-variation and its persistence properties, which are simple in construction

and avoid large parameterisation. This recent literature should be more

appealing to risk management practice and the finance industry at large.

The aim of this paper is thus to apply these recently developed

techniques, which come under the general heading of ‘realised volatility’ to the

study of time-variation in the Spanish futures market. In particular, we apply

intra-day five-minute observed data to the question of the appropriate daily

hedge ratio. The Spanish market is chosen as, in addition to a standard

futures contract, in November 2001 the Spanish Official Exchange for

Financial Futures and Options launched the mini IBEX-35 futures. The

purpose of introducing this contract was to complement the pre-existing

futures contract operating in the market by allowing smaller investors and

individual traders access to futures markets, and thus allowing for enhanced

portfolio management amongst these trader types. Specifically, the mini

futures differs from the pre-existing futures contract by having a larger tick

size and a smaller multiplier (that is, the tick size of the mini contract is five

index points as opposed to one index point on the standard contract, and the

multiplier is one euro per index point on the mini contract, as opposed to ten

euros per index point on the standard contract). Therefore, this gives us a

further opportunity to examine the impact of this new futures contract on the

existing contract and whether improved opportunities for hedging arise from

its introduction.

The remainder of the paper is as follows. Section 2 reviews the

principles underlying hedge ratios and the recent empirical literature. Section

3 reviews the realised variance literature, while Section 4 introduces the data

and examines the properties of the constructed realised series. Section 5

presents our main empirical results on the performance of portfolios

constructed using different hedge ratios. Section 6 summarises and

concludes.

3

2. Optimal Hedge Ratio and Recent Literature.

Futures contracts play an important role in financial markets by allowing

market agents the opportunity to introduce assets that exhibit a negative

correlation with their portfolio, which is not typically found with cash markets

only. Thus, futures contracts allow market agents to avoid, or hedge, market

risk that they otherwise could not avoid due to restrictions upon short selling.

The return on a portfolio of an investor who wishes to hedge some of their

cash position by holding futures contracts can be represented by:

(1) ftt

ct

pt rrr 1

where rtp is the return on the portfolio from time period t-1 to t, rt

c is the return

on the cash position over the same period, rtf the return on holding the futures

position over the time period t-1 to t and where βt-1 is the hedge ratio. The

conditional variance of the hedged portfolio, htp, using information up to time t-

1 is given by:

(2) cftt

ftt

ct

pt hhhh 1

21 2

where htp, ht

c, htf represent the conditional variances of the portfolio, cash and

futures positions respectively, while htcf represents conditional covariance

between the cash and futures position. The optimal hedge ratio is defined as

the value of βt-1, which minimises the conditional variance of the hedged

portfolio (2) and is given by:

(3) ft

cftt hh /*

1

where t-1* is the optimal hedge ratio (OHR). Where the conditional variance-

covariance matrix is assumed to be constant (for example, see the earlier

work of Ederington, 1979; and Anderson and Danthine, 1981), such that the

optimal hedging ratio will also be constant, then an estimate of t-1* can be

found by the estimated slope coefficient, b, in the simple linear regression of:

(4) tf

tc

t urbar .

However, as noted in the Introduction, the existing empirical consensus

is that both variance and covariance from which the hedge ratio is constructed

are time-varying, such that the parameter b in equation (4) which is fixed will

not be optimal at each point in time. Moreover, Park and Switzer (1995)

argue that if the joint distribution of cash and futures prices is changing over

4

time then a constant hedge ratio may not be appropriate, while Baillie and

Myers (1991) likewise suggest that hedge ratios will vary over time as the

conditional distribution between cash and futures price changes. Whilst,

therefore, common practice in the risk management industry is to estimate

equation (4) over a rolling window, the preference within the academic

research is to estimate such time-variation through a bivariate-GARCH model.

Consequently, several researchers have examined the ability of time-

varying optimal hedge ratios, typically estimated through the GARCH

methodology, to outperform constant hedge ratios in risk reduction

effectiveness. The majority of this extant research has focused upon bond or

equity cash and futures markets, examples of which include Cecchetti, Cumby

and Figlewski (1988), Park and Switzer (1995), Butterworth and Holmes

(2001), Brooks, Henry and Persand (2002) and Choudhry (2003), while Baillie

and Myers (1991) examined time-variation in the optimal hedge ratios of six

commodities. Furthermore, while the work of Cecchetti, Cumby and Figlewski

estimated individual GARCH models for the returns volatility of cash and

futures markets and assumed a constant correlation between cash and

futures prices, the remaining papers allowed for time-variation in the

conditional covariance matrix by employing a bivariate GARCH specification.

Additionally, Brooks, Henry and Persand allowed for asymmetry of positive

and negative shocks in the GARCH specifications, while Choudhry allowed for

the influence of short-run (squared) deviations from a cointegrating cash-

futures relationship on the conditional covariance matrix.1

3. Realised Volatility and Correlation.

As noted in the Introduction one drawback of the GARCH methodology in

estimating time-varying variances, covariances and hedge ratios is the large

number of parameters required to obtain estimates. Thus, conventional risk

management practise is to prefer a model such as that given by equation (4)

and introduce time-variation by conducting estimation of the model over a

rolling sample, typically 60 days. Although, and furthermore, both these

approaches suffer from the drawback that volatilities are constructed from

1 Also see Abdulnasser and Roca (2006), Lien et al (2002) and Ahmad and Manesh (2006).

5

past values, and that volatility itself is essentially unobserved. However,

recent developments in academic research have provided a methodology in

which volatility can in essence be observed and thus allow for direct

modelling. Building upon a line of research that began with Andersen and

Bollerslev (1998), Andersen, Bollerslev, Diebold and Labys (2003) define

realised volatility on day t as:

(5)

/1

1

2,1

jjt

rvt rh

where Δ is the intra-day frequency, such that 1/Δ is the number of intra-day

intervals. Thus, realised volatility is the sum of squared intra-day returns. In

principle, letting Δ go to zero, that is continuous sampling, then the measure

approaches the true integrated volatility of the underlying continuous time

process, and theoretically free from measurement error. This measure thus

allows a market participant to essentially treat volatility as an observed

variable and to allow direct estimation.

Generalising the realised volatility idea, we can similarly obtain realised

covariances between two assets, say asset i and asset k, in the following

fashion:

(6)

/1

1,1,,1,

jjtkjti

rcvt rrh .

As with the realised variance term, the realised covariance can be treated as

observed and directly used in estimation. Finally, and for the purposes within

the current paper, we can use the realised variances and covariances to

construct the realised hedge ratio:

(7) frvt

rcvt

rvt hh /*

1

where htrcv and ht

frv are used to represent the realised covariance between the

spot and futures returns and the realised variances of the futures return

respectively. As with the realised variance series, the realised covariance and

realised hedge ratio can be regarded as the realisations of the underlying

integrated processes and be consistent for the integrated covariance and

hedge ratio respectively.

6

4. Data and Properties of Realised Variables.

In this work we use data from the Ibex 35 index, which is the most important

index within the Spanish stock market as it contains the top 35 stocks on the

basis of market capitalisation. We also use the data from the futures contracts

negotiated in the Spanish derivative market which have the Ibex 35 as

underlying asset. There are two Ibex 35 index future, the Ibex plus, with a

multiplier of 10€, and the Ibex mini, with a multiplier of 1€. The Ibex mini

started in November 2001, while the Ibex plus started in 1992. The data from

the index has been taken from the website www.agmercados.com which is

used by market participants to operate in the market. The data of both

derivative contracts has been facilitated by MEFF, S. H.2 The period of study

goes from January 2nd, 2001 up to December 31st, 2003, and we have used

five minutes prices for every asset. For the mini future there is only data from

2nd January, 2002, while as its negotiation started on November 2001, it is not

until 2002, when the contract became liquid.

2 Mercado Español de Futuros Financieros, Sociedad Holding.

7

.00

.01

.02

.03

.04

.05

.06

.07

.08

100 200 300 400 500 600 700

Spot

.00

.01

.02

.03

.04

.05

.06

.07

.08

100 200 300 400 500 600 700

Futures

.00

.01

.02

.03

.04

.05

.06

.07

.08

100 200 300 400 500 600 700

Mini Futures

Figure 1. Realised Variance

In order to generate the realised series, the 5-minute data is

transformed into continuously compounded returns by taking logs and then

first differences. The realised variance series is then generated using

equation (5) where the returns are squared and summed over the trading day.

The realised covariances are generated using equation (6), that is, in turn the

Ibex spot and two futures series are multiplied and summed over the day.

Finally, using equation (7) we generate the realised hedge ratio from the

realised covariance and realised variance series.

8

-.001

.000

.001

.002

.003

.004

.005

.006

100 200 300 400 500 600 700

Spot/Futures

-.001

.000

.001

.002

.003

.004

100 200 300 400 500 600 700

Spot/Mini Futures

-.001

.000

.001

.002

.003

.004

.005

.006

100 200 300 400 500 600 700

Futures/Mini Futures

Figure 2. Realised Covariance

Plots of the daily realised variance and covariance between the spot,

futures and mini-futures are presented in Figures 1 and 2 respectively. As

can be seen from these plots the realised variance of each series is similar,

with infrequent but large spikes, which tend to be more pronounced in the

futures market. Similarly, the time series patterns associated with the realised

covariances between the three variables are similar. Finally, Figure 3 plots

the realised hedge ratios between the three assets. Here we can see that

although the three hedge ratios follow roughly the same pattern, of having a

mean close to 0.8 with departures therefrom, there is much greater diversity in

the timing and extent of the deviations.

9

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

100 200 300 400 500 600 700

Spot/Futures

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

100 200 300 400 500 600 700

Spot/Mini Futures

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

100 200 300 400 500 600 700

Futures/Mini Futures

Figure 3. Realised Hedge Ratios

To compliment this analysis, Table 1 presents some summary statistics

for the realised variance, covariance and hedge ratios, and the correlations

between each series. From this table we can see that the mean and standard

deviations for the realised variance, realised covariance and realised hedge

ratios respectively are of a similar magnitude for the three series.

Furthermore, the realised variance and covariance series are characterised by

very strong autocorrelation at both short and longer lags, the latter indicating

the possibility of long memory. However, for the realised hedge ratios the

autocorrelations are much reduced, especially for the spot/futures and

futures/mini hedge ratios. Nevertheless, all variances, covariances and ratios

are stationary. Finally, an examination of the correlation coefficients between

the variances, covariances and hedge ratios supports the graphical evidence

that while the generated realised variance and covariance series are similar

between the three stock market series, this cannot be said for the realised

hedge ratios. That is, correlations for the former two measures are in the

10

region of 0.91-0.98, while correlations for the latter measure range from 0.27-

0.67 suggesting wide variation in the produced ratios.

Table 1. Realised Data Descriptive Statistics

Country Realised Variance Realised Covariance Realised Hedge

Ratio

Spot Futures Mini S/F S/M F/M S/F S/M F/M

Mean 0.026 0.028 0.027 0.022 0.20 0.23 0.81 0.77 0.84

Std

Dev 0.035 0.039 0.034 0.032

0.26 0.33 0.12 0.12 0.11

Q1 115.7 158.8 110.4 113.7 123.0 106.1 1.76 31.39 3.52

Q12 723.7 776.3 763.6 625.6 891.3 682.1 26.96 119.1 39.02

ADF -4.89 -5.36 -3.60 -9.85 -3.54 -3.80 -25.6 -8.54 -20.5

d 0.49

(0.15)

0.55

(0.15)

0.53

(0.17)

0.49

(0.10)

0.53

(0.10)

0.49

(0.10)

0.17

(0.07)

0.24

(0.12)

0.19

(0.07)

Correlations

Futures Mini S/M F/M S/M F/M

Spot 0.91 0.93 S/F 0.98 0.97 S/F 0.67 0.27

Futures 0.94 S/M 0.98 S/M 0.47

Notes: Mean and standard deviation for realised variance and covariance multiplied by 100. Q

refers to serial correlation Q-statistics of lags one and twelve. ADF is the augmented Dickey-

Fuller test with lag length selected by the BIC and a 5% critical value of –2.86. d is the estimated

fractional integration parameter, with standard errors in parentheses.

The evidence from the Q-statistics and the ADF tests suggests the

possibility of long-memory dynamics within the realised variances and

covariances. Moreover, Andersen et al (2003) have argued that realised

volatility measures exhibit long memory and possible fractional behaviour. To

compliment the above analysis and to test for possible fractional integration

we plot in Figure 4 the first 50 lags of the autocorrelation function for the

realised variance, covariance and hedge ratio respectively. These figures

suggest that the autocorrelation functions for the realised variance and

covariance series decay only very slowly, such that long lags still have a

(albeit weak) conditioning effect on current values. The same, however, is not

11

true for the realised hedge ratios, where the autocorrelation function decays

towards zero relatively quick.

.0

.1

.2

.3

.4

.5

5 10 15 20 25 30 35 40 45 50

Var-SpotVar-FuturesVar-Mini Futures

.0

.1

.2

.3

.4

.5

5 10 15 20 25 30 35 40 45 50

Covar-Spot/FuturesCovar-Spot/MiniCovar-Futures/Mini

-.10

-.05

.00

.05

.10

.15

.20

.25

.30

5 10 15 20 25 30 35 40 45 50

Hedge Ratio-Spot/FuturesHedge Ratio-Spot/MiniHedge Ratio-Futures/Mini

Figure 4. ACF for Realised Series

These results are consistent with potential fractional integration behaviour in

the realised variance and covariance. Furthermore, the fact that the hedge

ratio, which is a combination of these two variables, does not appear to exhibit

the same long memory property suggests possible common factors, or

fractional cointegration. That is, in the language of Engle and Kozacki (1993),

the potential for common features (co-persistence) between variance and

covariance exists, where two variables exhibit a characteristic (i.e. long-

memory) that a combination of them (the hedge ratio variable) does not.3

3 If we accept the possibility of fractional integration in realised variances and covariances, then this suggests the presence of fractional cointegration (Cheung and Lai, 1993). A result similar to this was reported by Andersen et al (2004) in the context of realised CAPM betas.

12

To provide further evidence of this we estimate the fractional integration

parameter. Specifically, we implement the (log-)periodogram regression

estimator proposed by Geweke and Porter-Hudak (1983; dGPH), based on the

smoothed periodogram using the Parzen window. More formally, the spectral

density of a time series can be given by:

(8) )(*)exp(1)(2 fif

d

where d is the long memory parameter and f*(λ) represents short-run

dependency. Geweke-Porter-Hudack (1983) propose the following estimator

based on the first m periodogram ordinates:

(9) mjfortiyn

In

tjtj ,...,1)exp(

2

12

1

where λj = 2πj / n, j=0,1,2,…,m, defines the set of harmonic frequencies. The

least squares regression is thus:

(10) jjj eimjI ])exp(1[log},...,1:)({log 10

where )2/ˆ(ˆ1d . Estimates of d are presented in Table 1 and these

support the general observations made from the Q-statistics and the plots of

the autocorrelation function. That is, there appears to be long-memory

fractional integration in the realised variance and covariance series but not the

realised hedge ratios, supporting the belief that the variances and covariances

exhibit common fractional integration behaviour in the ratio

5. Hedge Ratio and Portfolio Performance.

The hedge ratios based upon the realised variance and covariances are

plotted in Figure 3 as noted above. These show substantial time-variation in

the optimal hedge ratio and thus in the appropriate number of futures

contracts to buy. The aim of this section is to note whether taking into

account this measure of the optimal hedge ratio improves portfolio

performance over more traditional measures of computing the hedge ratio,

such as the static OLS regression which produces a constant hedge ratio, a

60-day rolling OLS regression and a bivariate-GARCH model. Of particular

note, the first measure is usually considered as a base measure against which

to compare the other, time-varying, methods, the second method is simple to

13

compute and preferred within the finance industry, while the final method is

more involved but preferred within the academic community.

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

100 200 300 400 500 600 700

Realised

.86

.88

.90

.92

.94

.96

.98

100 200 300 400 500 600 700

Static OLS

0.84

0.88

0.92

0.96

1.00

100 200 300 400 500 600 700

Rolling OLS

0.91

0.92

0.93

0.94

0.95

0.96

0.97

0.98

0.99

1.00

100 200 300 400 500 600 700

BV-GARCH

Figure 5. Spot/Futures Hedge Ratios

For comparison, Figure 5 presents the hedge ratios for the full sample

spot/standard futures calculated by each method. As can be seen from this

figure the hedge ratio obtained from the realised variance and covariance

series exhibits a much greater degree of variability than that obtained by the

other methods. More specifically, the range of values taken by the realised

hedge ratio is from –0.1 to 0.96, whilst for the rolling regression model ranges

from 0.85 to 0.99 and 0.92 to 0.99 for the bivariate-GARCH model.

Furthermore, the mean value for the realised hedge ratio is 0.8 while for the

regression, rolling regression and GARCH model the mean values are 0.92,

0.92 and 0.98 respectively.

In order to assess the ability of each method of constructing the hedge

ratio, we examine the performance of the portfolio described by equation (1) in

terms of the average daily return, standard deviation and the Sharpe ratio

14

based on annualised values. These values are presented in Table 2 for the

spot and standard futures contract and for both the full sample and the two

sub-samples either side of the introduction of the mini-futures contract. Table

3 presents similar statistics of hedged portfolios involving the mini-futures

contract.

Table 2. Hedged Portfolio - Spot and Standard Futures

OLS Rolling OLS GARCH RV

Full Sample

Mean -0.002 0.0001 -0.0002 0.003

Std Dev 0.35 0.34 0.36 0.41

Sharpe -0.07 0.002 -0.01 0.12

Pre-Mini

Mean 0.001 0.007 0.002 0.006

Std Dev 0.34 0.34 0.36 0.43

Sharpe 0.03 0.34 0.09 0.21

Post-Mini

Mean -0.003 -0.003 -0.001 0.002

Std Dev 0.35 0.34 0.36 0.40

Sharpe -0.12 -0.12 -0.06 0.07

Notes: Spot and futures portfolios constructed on the basis on hedge ratios constructed using

the static regression model (OLS), a rolling regression model (Rolling OLS), a bivariate-

GARCH model (GARCH) and the realised variance method (RV). Sharpe is the Sharpe ratio

obtained by the annualised mean dividend by the annualised standard deviation.

The results from Table 2 for both the full sample and two sub-samples

suggest the following broad conclusions. First, for all hedged portfolios the

daily mean value is close to zero, although typically higher for the portfolio

constructed using the realised hedge ratio. Furthermore, for the constant

regression based portfolio and the GARCH portfolio the mean values are

negative over the full sample and the sample after the introduction of the mini-

futures, indeed in this latter period only the realised hedge ratio based

portfolio has a positive mean value. Second, the standard deviation of the

regression, rolling regression and GARCH portfolios are all of a similar

15

magnitude, while the realised hedge ratio based portfolio has a higher

standard deviation. Finally, examining the performance of the portfolio

through the Sharpe ratio then the realised hedge ratio based portfolio

outperforms all the other constructed portfolios over the full sample and the

post-mini futures introduction sample. Only in the sample prior to the

introduction of the mini futures contract does the rolling regression outperform

the realised hedge ratio portfolio, which inturn outperforms the remaining two

portfolios.

Table 3. Hedged Portfolio - Spot and Standard Futures With Mini Futures

OLS Rolling OLS GARCH RV

Spot and Mini Futures

Mean -0.003 0.001 -0.002 0.003

Std Dev 0.35 0.34 0.35 0.44

Sharpe -0.13 0.03 -0.10 0.10

Standard Futures and Mini Futures

Mean -0.0002 0.0004 -0.0002 0.009

Std Dev 0.17 0.16 0.17 0.35

Sharpe -0.02 0.04 -0.02 0.43

Notes: Spot and futures portfolios constructed on the basis on hedge ratios constructed using

the static regression model (OLS), a rolling regression model (Rolling OLS), a bivariate-

GARCH model (GARCH) and the realised variance method (RV). Sharpe is the Sharpe ratio

obtained by the annualised mean dividend by the annualised standard deviation.

Turning to Table 3 which reports the portfolio mean, standard deviation

and Sharpe ratio for the spot/mini-futures and the two futures hedged

portfolios, the results are broadly similar to those reported for the

spot/standard futures hedged portfolio. More specifically, the mean values

are all close to zero and negative for the constant OLS regression based

hedge ratio and the GARCH based measure, while the highest mean values

are found for the realised hedge ratio based portfolio. The standard deviations

for the OLS regression, rolling regression and GARCH based hedge portfolio

are similar while the standard deviation for the realised hedge ratio portfolio is

higher. Finally, the Sharpe ratio of portfolio performance is highest for the

16

realised hedge ratio portfolio for both the spot/mini futures hedged portfolio

and the two futures hedged portfolio.

In sum, the results from this exercise suggest that the best performing

hedged portfolio is constructed by obtaining the realised hedge ratio.

Although portfolio variance is lower for portfolios constructed using regression

and GARCH techniques, these often produce negative mean values for the

portfolio, the best return-risk combination occurs for the realised hedge ratio

based portfolios. Furthermore, the realised hedge ratio is relatively simple in

construction and so the results here will be of interest to the finance industry

as improved hedging performance could be obtained through using realised

hedge ratios as opposed to rolling regressions. Finally, the introduction of the

mini futures contract appears to have no significant impact on hedging

performance of the existing futures contract.

6. Summary and Conclusion.

The introduction of futures markets are one of the most important innovations

within the finance industry, allowing for improved quality of information about

future price movements and risk transfer. The traditional approaches to the

use of futures for hedging purposes had been to adopt constant hedge ratios

either though a naive one-to-one hedging ratio, or to determine the optimal

hedge ratio using a simple regression. However, it is well known that asset

variances and covariances are time-dependant and can vary substantially

over even short periods of time. This has led to the question of what is the

most appropriate technique to model such time-variation. The academic

literature has typically focussed on the GARCH methodology as providing the

most accurate methods to model variances and covariances. However, the

finance industry has shied away from these techniques as they are highly

involved and require a large number of parameters in estimation as well as

constraints on parameter values to ensure non-negativity and stationarity.

Furthermore, there are a variety of GARCH models that can capture different

aspects of the data (for example, asymmetry, long memory). As such the

finance industry typically introduces time-variation into hedge ratio estimation

through rolling regression techniques that are simple to execute.

17

The aim of this paper is to re-examine the ability of several models to

estimate hedge ratio in the light of recent academic research that has led to

the development of realised variance and covariance modelling techniques.

Furthermore, realised volatility measures are simple in construction, do not

involved estimating a large number of parameters and allow for

straightforward construction of realised hedge ratios and so are of interest to

those engaged within the finance industry.

Using five-minute data for the Spanish IBEX-35 equity spot and futures

market daily realised variances, covariances and hedge ratios are

constructed. This data is chosen as during our sample the Spanish Official

Exchange for Financial Futures and Options launched the mini IBEX-35

futures. The purpose of introducing this contract was to complement the pre-

existing futures contract operating in the market by allowing smaller investors

access to futures markets, and thus allowing for enhanced portfolio

management amongst these investors. Hence, this gives us a further

opportunity to examine the impact of this new futures contract on the existing

contract. Preliminary results within this paper show that daily realised

variances and covariances for the Spanish IBEX-35 equity spot and futures

market exhibit long memory dependency consistent with extant research on

other markets, while the constructed hedge ratios do not exhibit the same

property. Furthermore, while the realised variances of the three assets and

the realised covariances between the three assets all follow a similar time

series pattern, and exhibit a high correlation, the realised hedge ratios differ

across time and exhibit a lower correlation.

In terms of hedge ratio performance we compared a hedged portfolio

based upon the realised hedge ratio for the spot/futures portfolio, spot/mini

futures portfolio and a standard future/mini future portfolio with hedged

portfolios constructed using a constant regression based hedge ratio, a time-

varying rolling regression hedge ratio favoured within the finance industry and

a time-varying bivariate-GARCH hedge ratio favoured within the academic

community. Our results suggest the following conclusions. First, on the basis

on solely minimising portfolio variance then the static regression, rolling

regression and GARCH based methods obtain smaller portfolio variances

than the realised volatility based method, however, this was often at the

18

expense of negative mean values, whereas the portfolio utilising realised

hedge ratios always yields positive mean values. Second, and perhaps most

importantly, a comparison of portfolio performance which takes into account

both portfolio mean and variance using the Sharpe ratio, almost unanimously

supports the portfolios constructed using the realised hedge ratios, in only one

case does the rolling regression based portfolio outperform the realised hedge

ratio based portfolio and this was prior to the introduction of the mini-futures

contract and so characterised by a market environment which no longer

exists. Finally, the introduction of the min-futures contract appears to have

had almost no impact on the hedging performance of the spot-standard

futures contract market, although of note portfolios constructed by any means

other than the realised hedge ratio exhibit a negative mean value in the post-

mini period to the end of the sample. In this respect the mini-futures contract

could be regarded as successful in allowing new participants to the market but

without diminishing the hedging efficiency of the original contract.

In sum, the results presented here have important implications for the

practice of risk management and the calculation of futures market hedge

ratios. That is, the finance industry has typically shied away from models

preferred within the academic community designed to capture time-variation in

asset variances and covariances due to their complexity, instead preferring

models that are relatively simpler in construction. Our results suggest that the

recent development within the academic literature for the calculation of

realised variances, covariance and in this case, realised hedge ratios provides

for improved performance and yet are simple in construction.

19

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305/2007 Spain is Different: Relative Wages 1989-98 José Antonio Carrasco Gallego

306/2007 Poverty reduction and SAM multipliers: An evaluation of public policies in a regional framework Francisco Javier De Miguel-Vélez y Jesús Pérez-Mayo

307/2007 La Eficiencia en la Gestión del Riesgo de Crédito en las Cajas de Ahorro Marcelino Martínez Cabrera

308/2007 Optimal environmental policy in transport: unintended effects on consumers' generalized price M. Pilar Socorro and Ofelia Betancor

309/2007 Agricultural Productivity in the European Regions: Trends and Explanatory Factors Roberto Ezcurra, Belen Iráizoz, Pedro Pascual and Manuel Rapún

310/2007 Long-run Regional Population Divergence and Modern Economic Growth in Europe: a Case Study of Spain María Isabel Ayuda, Fernando Collantes and Vicente Pinilla

311/2007 Financial Information effects on the measurement of Commercial Banks’ Efficiency Borja Amor, María T. Tascón and José L. Fanjul

312/2007 Neutralidad e incentivos de las inversiones financieras en el nuevo IRPF Félix Domínguez Barrero

313/2007 The Effects of Corporate Social Responsibility Perceptions on The Valuation of Common Stock Waymond Rodgers , Helen Choy and Andres Guiral-Contreras

314/2007 Country Creditor Rights, Information Sharing and Commercial Banks’ Profitability Persistence across the world Borja Amor, María T. Tascón and José L. Fanjul

315/2007 ¿Es Relevante el Déficit Corriente en una Unión Monetaria? El Caso Español Javier Blanco González y Ignacio del Rosal Fernández

316/2007 The Impact of Credit Rating Announcements on Spanish Corporate Fixed Income Performance: Returns, Yields and Liquidity Pilar Abad, Antonio Díaz and M. Dolores Robles

317/2007 Indicadores de Lealtad al Establecimiento y Formato Comercial Basados en la Distribución del Presupuesto Cesar Augusto Bustos Reyes y Óscar González Benito

318/2007 Migrants and Market Potential in Spain over The XXth Century: A Test Of The New Economic Geography Daniel A. Tirado, Jordi Pons, Elisenda Paluzie and Javier Silvestre

319/2007 El Impacto del Coste de Oportunidad de la Actividad Emprendedora en la Intención de los Ciu-dadanos Europeos de Crear Empresas Luis Miguel Zapico Aldeano

320/2007 Los belgas y los ferrocarriles de vía estrecha en España, 1887-1936 Alberte Martínez López

321/2007 Competición política bipartidista. Estudio geométrico del equilibrio en un caso ponderado Isabel Lillo, Mª Dolores López y Javier Rodrigo

322/2007 Human resource management and environment management systems: an empirical study Mª Concepción López Fernández, Ana Mª Serrano Bedia and Gema García Piqueres

323/2007 Wood and industrialization. evidence and hypotheses from the case of Spain, 1860-1935. Iñaki Iriarte-Goñi and María Isabel Ayuda Bosque

324/2007 New evidence on long-run monetary neutrality. J. Cunado, L.A. Gil-Alana and F. Perez de Gracia

325/2007 Monetary policy and structural changes in the volatility of us interest rates. Juncal Cuñado, Javier Gomez Biscarri and Fernando Perez de Gracia

326/2007 The productivity effects of intrafirm diffusion. Lucio Fuentelsaz, Jaime Gómez and Sergio Palomas

327/2007 Unemployment duration, layoffs and competing risks. J.M. Arranz, C. García-Serrano and L. Toharia

328/2007 El grado de cobertura del gasto público en España respecto a la UE-15 Nuria Rueda, Begoña Barruso, Carmen Calderón y Mª del Mar Herrador

329/2007 The Impact of Direct Subsidies in Spain before and after the CAP'92 Reform Carmen Murillo, Carlos San Juan and Stefan Sperlich

330/2007 Determinants of post-privatisation performance of Spanish divested firms Laura Cabeza García and Silvia Gómez Ansón

331/2007 ¿Por qué deciden diversificar las empresas españolas? Razones oportunistas versus razones económicas Almudena Martínez Campillo

332/2007 Dynamical Hierarchical Tree in Currency Markets Juan Gabriel Brida, David Matesanz Gómez and Wiston Adrián Risso

333/2007 Los determinantes sociodemográficos del gasto sanitario. Análisis con microdatos individuales Ana María Angulo, Ramón Barberán, Pilar Egea y Jesús Mur

334/2007 Why do companies go private? The Spanish case Inés Pérez-Soba Aguilar

335/2007 The use of gis to study transport for disabled people Verónica Cañal Fernández

336/2007 The long run consequences of M&A: An empirical application Cristina Bernad, Lucio Fuentelsaz and Jaime Gómez

337/2007 Las clasificaciones de materias en economía: principios para el desarrollo de una nueva clasificación Valentín Edo Hernández

338/2007 Reforming Taxes and Improving Health: A Revenue-Neutral Tax Reform to Eliminate Medical and Pharmaceutical VAT Santiago Álvarez-García, Carlos Pestana Barros y Juan Prieto-Rodriguez

339/2007 Impacts of an iron and steel plant on residential property values Celia Bilbao-Terol

340/2007 Firm size and capital structure: Evidence using dynamic panel data Víctor M. González and Francisco González

341/2007 ¿Cómo organizar una cadena hotelera? La elección de la forma de gobierno Marta Fernández Barcala y Manuel González Díaz

342/2007 Análisis de los efectos de la decisión de diversificar: un contraste del marco teórico “Agencia-Stewardship” Almudena Martínez Campillo y Roberto Fernández Gago

343/2007 Selecting portfolios given multiple eurostoxx-based uncertainty scenarios: a stochastic goal pro-gramming approach from fuzzy betas Enrique Ballestero, Blanca Pérez-Gladish, Mar Arenas-Parra and Amelia Bilbao-Terol

344/2007 “El bienestar de los inmigrantes y los factores implicados en la decisión de emigrar” Anastasia Hernández Alemán y Carmelo J. León

345/2007 Governance Decisions in the R&D Process: An Integrative Framework Based on TCT and Know-ledge View of The Firm. Andrea Martínez-Noya and Esteban García-Canal

346/2007 Diferencias salariales entre empresas públicas y privadas. El caso español Begoña Cueto y Nuria Sánchez- Sánchez

347/2007 Effects of Fiscal Treatments of Second Home Ownership on Renting Supply Celia Bilbao Terol and Juan Prieto Rodríguez

348/2007 Auditors’ ethical dilemmas in the going concern evaluation Andres Guiral, Waymond Rodgers, Emiliano Ruiz and Jose A. Gonzalo

349/2007 Convergencia en capital humano en España. Un análisis regional para el periodo 1970-2004 Susana Morales Sequera y Carmen Pérez Esparrells

350/2007 Socially responsible investment: mutual funds portfolio selection using fuzzy multiobjective pro-gramming Blanca Mª Pérez-Gladish, Mar Arenas-Parra , Amelia Bilbao-Terol and Mª Victoria Rodríguez-Uría

351/2007 Persistencia del resultado contable y sus componentes: implicaciones de la medida de ajustes por devengo Raúl Iñiguez Sánchez y Francisco Poveda Fuentes

352/2007 Wage Inequality and Globalisation: What can we Learn from the Past? A General Equilibrium Approach Concha Betrán, Javier Ferri and Maria A. Pons

353/2007 Eficacia de los incentivos fiscales a la inversión en I+D en España en los años noventa Desiderio Romero Jordán y José Félix Sanz Sanz

354/2007 Convergencia regional en renta y bienestar en España Robert Meneu Gaya

355/2007 Tributación ambiental: Estado de la Cuestión y Experiencia en España Ana Carrera Poncela

356/2007 Salient features of dependence in daily us stock market indices Luis A. Gil-Alana, Juncal Cuñado and Fernando Pérez de Gracia

357/2007 La educación superior: ¿un gasto o una inversión rentable para el sector público? Inés P. Murillo y Francisco Pedraja

358/2007 Effects of a reduction of working hours on a model with job creation and job destruction Emilio Domínguez, Miren Ullibarri y Idoya Zabaleta

359/2007 Stock split size, signaling and earnings management: Evidence from the Spanish market José Yagüe, J. Carlos Gómez-Sala and Francisco Poveda-Fuentes

360/2007 Modelización de las expectativas y estrategias de inversión en mercados de derivados Begoña Font-Belaire

361/2008 Trade in capital goods during the golden age, 1953-1973 Mª Teresa Sanchis and Antonio Cubel

362/2008 El capital económico por riesgo operacional: una aplicación del modelo de distribución de pérdidas Enrique José Jiménez Rodríguez y José Manuel Feria Domínguez

363/2008 The drivers of effectiveness in competition policy Joan-Ramon Borrell and Juan-Luis Jiménez

364/2008 Corporate governance structure and board of directors remuneration policies: evidence from Spain Carlos Fernández Méndez, Rubén Arrondo García and Enrique Fernández Rodríguez

365/2008 Beyond the disciplinary role of governance: how boards and donors add value to Spanish founda-tions Pablo De Andrés Alonso, Valentín Azofra Palenzuela y M. Elena Romero Merino

366/2008 Complejidad y perfeccionamiento contractual para la contención del oportunismo en los acuerdos de franquicia Vanesa Solís Rodríguez y Manuel González Díaz

367/2008 Inestabilidad y convergencia entre las regiones europeas Jesús Mur, Fernando López y Ana Angulo

368/2008 Análisis espacial del cierre de explotaciones agrarias Ana Aldanondo Ochoa, Carmen Almansa Sáez y Valero Casanovas Oliva

369/2008 Cross-Country Efficiency Comparison between Italian and Spanish Public Universities in the period 2000-2005 Tommaso Agasisti and Carmen Pérez Esparrells

370/2008 El desarrollo de la sociedad de la información en España: un análisis por comunidades autónomas María Concepción García Jiménez y José Luis Gómez Barroso

371/2008 El medioambiente y los objetivos de fabricación: un análisis de los modelos estratégicos para su consecución Lucía Avella Camarero, Esteban Fernández Sánchez y Daniel Vázquez-Bustelo

372/2008 Influence of bank concentration and institutions on capital structure: New international evidence Víctor M. González and Francisco González

373/2008 Generalización del concepto de equilibrio en juegos de competición política Mª Dolores López González y Javier Rodrigo Hitos

374/2008 Smooth Transition from Fixed Effects to Mixed Effects Models in Multi-level regression Models María José Lombardía and Stefan Sperlich

375/2008 A Revenue-Neutral Tax Reform to Increase Demand for Public Transport Services Carlos Pestana Barros and Juan Prieto-Rodriguez

376/2008 Measurement of intra-distribution dynamics: An application of different approaches to the Euro-pean regions Adolfo Maza, María Hierro and José Villaverde

377/2008 Migración interna de extranjeros y ¿nueva fase en la convergencia? María Hierro y Adolfo Maza

378/2008 Efectos de la Reforma del Sector Eléctrico: Modelización Teórica y Experiencia Internacional Ciro Eduardo Bazán Navarro

379/2008 A Non-Parametric Independence Test Using Permutation Entropy Mariano Matilla-García and Manuel Ruiz Marín

380/2008 Testing for the General Fractional Unit Root Hypothesis in the Time Domain Uwe Hassler, Paulo M.M. Rodrigues and Antonio Rubia

381/2008 Multivariate gram-charlier densities Esther B. Del Brio, Trino-Manuel Ñíguez and Javier Perote

382/2008 Analyzing Semiparametrically the Trends in the Gender Pay Gap - The Example of Spain Ignacio Moral-Arce, Stefan Sperlich, Ana I. Fernández-Saínz and Maria J. Roca

383/2008 A Cost-Benefit Analysis of a Two-Sided Card Market Santiago Carbó Valverde, David B. Humphrey, José Manuel Liñares Zegarra and Francisco Rod-riguez Fernandez

384/2008 A Fuzzy Bicriteria Approach for Journal Deselection in a Hospital Library M. L. López-Avello, M. V. Rodríguez-Uría, B. Pérez-Gladish, A. Bilbao-Terol, M. Arenas-Parra

385/2008 Valoración de las grandes corporaciones farmaceúticas, a través del análisis de sus principales intangibles, con el método de opciones reales Gracia Rubio Martín y Prosper Lamothe Fernández

386/2008 El marketing interno como impulsor de las habilidades comerciales de las pyme españolas: efectos en los resultados empresariales Mª Leticia Santos Vijande, Mª José Sanzo Pérez, Nuria García Rodríguez y Juan A. Trespalacios Gutiérrez

387/2008 Understanding Warrants Pricing: A case study of the financial market in Spain David Abad y Belén Nieto

388/2008 Aglomeración espacial, Potencial de Mercado y Geografía Económica: Una revisión de la litera-tura Jesús López-Rodríguez y J. Andrés Faíña

389/2008 An empirical assessment of the impact of switching costs and first mover advantages on firm performance Jaime Gómez, Juan Pablo Maícas

390/2008 Tender offers in Spain: testing the wave Ana R. Martínez-Cañete y Inés Pérez-Soba Aguilar

391/2008 La integración del mercado español a finales del siglo XIX: los precios del trigo entre 1891 y 1905 Mariano Matilla García, Pedro Pérez Pascual y Basilio Sanz Carnero

392/2008 Cuando el tamaño importa: estudio sobre la influencia de los sujetos políticos en la balanza de bienes y servicios Alfonso Echazarra de Gregorio

393/2008 Una visión cooperativa de las medidas ante el posible daño ambiental de la desalación Borja Montaño Sanz

394/2008 Efectos externos del endeudamiento sobre la calificación crediticia de las Comunidades Autóno-mas Andrés Leal Marcos y Julio López Laborda

395/2008 Technical efficiency and productivity changes in Spanish airports: A parametric distance func-tions approach Beatriz Tovar & Roberto Rendeiro Martín-Cejas

396/2008 Network analysis of exchange data: Interdependence drives crisis contagion David Matesanz Gómez & Guillermo J. Ortega

397/2008 Explaining the performance of Spanish privatised firms: a panel data approach Laura Cabeza Garcia and Silvia Gomez Anson

398/2008 Technological capabilities and the decision to outsource R&D services Andrea Martínez-Noya and Esteban García-Canal

399/2008 Hybrid Risk Adjustment for Pharmaceutical Benefits Manuel García-Goñi, Pere Ibern & José María Inoriza

400/2008 The Team Consensus–Performance Relationship and the Moderating Role of Team Diversity José Henrique Dieguez, Javier González-Benito and Jesús Galende

401/2008 The institutional determinants of CO2 emissions: A computational modelling approach using Arti-ficial Neural Networks and Genetic Programming Marcos Álvarez-Díaz , Gonzalo Caballero Miguez and Mario Soliño

402/2008 Alternative Approaches to Include Exogenous Variables in DEA Measures: A Comparison Using Monte Carlo José Manuel Cordero-Ferrera, Francisco Pedraja-Chaparro and Daniel Santín-González

403/2008 Efecto diferencial del capital humano en el crecimiento económico andaluz entre 1985 y 2004: comparación con el resto de España Mª del Pópulo Pablo-Romero Gil-Delgado y Mª de la Palma Gómez-Calero Valdés

404/2008 Análisis de fusiones, variaciones conjeturales y la falacia del estimador en diferencias Juan Luis Jiménez y Jordi Perdiguero

405/2008 Política fiscal en la uem: ¿basta con los estabilizadores automáticos? Jorge Uxó González y Mª Jesús Arroyo Fernández

406/2008 Papel de la orientación emprendedora y la orientación al mercado en el éxito de las empresas Óscar González-Benito, Javier González-Benito y Pablo A. Muñoz-Gallego

407/2008 La presión fiscal por impuesto sobre sociedades en la unión europea Elena Fernández Rodríguez, Antonio Martínez Arias y Santiago Álvarez García

408/2008 The environment as a determinant factor of the purchasing and supply strategy: an empirical ana-lysis Dr. Javier González-Benito y MS Duilio Reis da Rocha

409/2008 Cooperation for innovation: the impact on innovatory effort Gloria Sánchez González and Liliana Herrera

410/2008 Spanish post-earnings announcement drift and behavioral finance models Carlos Forner and Sonia Sanabria

411/2008 Decision taking with external pressure: evidence on football manager dismissals in argentina and their consequences Ramón Flores, David Forrest and Juan de Dios Tena

412/2008 Comercio agrario latinoamericano, 1963-2000: aplicación de la ecuación gravitacional para flujos desagregados de comercio Raúl Serrano y Vicente Pinilla

413/2008 Voter heuristics in Spain: a descriptive approach elector decision José Luís Sáez Lozano and Antonio M. Jaime Castillo

414/2008 Análisis del efecto área de salud de residencia sobre la utilización y acceso a los servicios sanita-rios en la Comunidad Autónoma Canaria Ignacio Abásolo Alessón, Lidia García Pérez, Raquel Aguiar Ibáñez y Asier Amador Robayna

415/2008 Impact on competitive balance from allowing foreign players in a sports league: an analytical model and an empirical test Ramón Flores, David Forrest & Juan de Dios Tena

416/2008 Organizational innovation and productivity growth: Assessing the impact of outsourcing on firm performance Alberto López

417/2008 Value Efficiency Analysis of Health Systems Eduardo González, Ana Cárcaba & Juan Ventura

418/2008 Equidad en la utilización de servicios sanitarios públicos por comunidades autónomas en España: un análisis multinivel Ignacio Abásolo, Jaime Pinilla, Miguel Negrín, Raquel Aguiar y Lidia García

419/2008 Piedras en el camino hacia Bolonia: efectos de la implantación del EEES sobre los resultados académicos Carmen Florido, Juan Luis Jiménez e Isabel Santana

420/2008 The welfare effects of the allocation of airlines to different terminals M. Pilar Socorro and Ofelia Betancor

421/2008 How bank capital buffers vary across countries. The influence of cost of deposits, market power and bank regulation Ana Rosa Fonseca and Francisco González

422/2008 Analysing health limitations in spain: an empirical approach based on the european community household panel Marta Pascual and David Cantarero

423/2008 Regional productivity variation and the impact of public capital stock: an analysis with spatial interaction, with reference to Spain Miguel Gómez-Antonio and Bernard Fingleton

424/2008 Average effect of training programs on the time needed to find a job. The case of the training schools program in the south of Spain (Seville, 1997-1999). José Manuel Cansino Muñoz-Repiso and Antonio Sánchez Braza

425/2008 Medición de la eficiencia y cambio en la productividad de las empresas distribuidoras de electri-cidad en Perú después de las reformas Raúl Pérez-Reyes y Beatriz Tovar

426/2008 Acercando posturas sobre el descuento ambiental: sondeo Delphi a expertos en el ámbito interna-cional Carmen Almansa Sáez y José Miguel Martínez Paz

427/2008 Determinants of abnormal liquidity after rating actions in the Corporate Debt Market Pilar Abad, Antonio Díaz and M. Dolores Robles

428/2008 Export led-growth and balance of payments constrained. New formalization applied to Cuban commercial regimes since 1960 David Matesanz Gómez, Guadalupe Fugarolas Álvarez-Ude and Isis Mañalich Gálvez

429/2008 La deuda implícita y el desequilibrio financiero-actuarial de un sistema de pensiones. El caso del régimen general de la seguridad social en España José Enrique Devesa Carpio y Mar Devesa Carpio

430/2008 Efectos de la descentralización fiscal sobre el precio de los carburantes en España Desiderio Romero Jordán, Marta Jorge García-Inés y Santiago Álvarez García

431/2008 Euro, firm size and export behavior Silviano Esteve-Pérez, Salvador Gil-Pareja, Rafael Llorca-Vivero and José Antonio Martínez-Serrano

432/2008 Does social spending increase support for free trade in advanced democracies? Ismael Sanz, Ferran Martínez i Coma and Federico Steinberg

433/2008 Potencial de Mercado y Estructura Espacial de Salarios: El Caso de Colombia Jesús López-Rodríguez y Maria Cecilia Acevedo

434/2008 Persistence in Some Energy Futures Markets Juncal Cunado, Luis A. Gil-Alana and Fernando Pérez de Gracia

435/2008 La inserción financiera externa de la economía francesa: inversores institucionales y nueva gestión empresarial Ignacio Álvarez Peralta

436/2008 ¿Flexibilidad o rigidez salarial en España?: un análisis a escala regional Ignacio Moral Arce y Adolfo Maza Fernández

437/2009 Intangible relationship-specific investments and the performance of r&d outsourcing agreements Andrea Martínez-Noya, Esteban García-Canal & Mauro F. Guillén

438/2009 Friendly or Controlling Boards? Pablo de Andrés Alonso & Juan Antonio Rodríguez Sanz

439/2009 La sociedad Trenor y Cía. (1838-1926): un modelo de negocio industrial en la España del siglo XIX Amparo Ruiz Llopis

440/2009 Continental bias in trade Salvador Gil-Pareja, Rafael Llorca-Vivero & José Antonio Martínez Serrano

441/2009 Determining operational capital at risk: an empirical application to the retail banking Enrique José Jiménez-Rodríguez, José Manuel Feria-Domínguez & José Luis Martín-Marín

442/2009 Costes de mitigación y escenarios post-kyoto en España: un análisis de equilibro general para España Mikel González Ruiz de Eguino

443/2009 Las revistas españolas de economía en las bibliotecas universitarias: ranking, valoración del indicador y del sistema Valentín Edo Hernández

444/2009 Convergencia económica en España y coordinación de políticas económicas. un estudio basado en la estructura productiva de las CC.AA. Ana Cristina Mingorance Arnáiz

445/2009 Instrumentos de mercado para reducir emisiones de co2: un análisis de equilibrio general para España Mikel González Ruiz de Eguino

446/2009 El comercio intra e inter-regional del sector Turismo en España Carlos Llano y Tamara de la Mata

447/2009 Efectos del incremento del precio del petróleo en la economía española: Análisis de cointegración y de la política monetaria mediante reglas de Taylor Fernando Hernández Martínez

448/2009 Bologna Process and Expenditure on Higher Education: A Convergence Analysis of the EU-15 T. Agasisti, C. Pérez Esparrells, G. Catalano & S. Morales

449/2009 Global Economy Dynamics? Panel Data Approach to Spillover Effects Gregory Daco, Fernando Hernández Martínez & Li-Wu Hsu

450/2009 Pricing levered warrants with dilution using observable variables Isabel Abínzano & Javier F. Navas

451/2009 Information technologies and financial prformance: The effect of technology diffusion among competitors Lucio Fuentelsaz, Jaime Gómez & Sergio Palomas

452/2009 A Detailed Comparison of Value at Risk in International Stock Exchanges Pilar Abad & Sonia Benito

453/2009 Understanding offshoring: has Spain been an offshoring location in the nineties? Belén González-Díaz & Rosario Gandoy

454/2009 Outsourcing decision, product innovation and the spatial dimension: Evidence from the Spanish footwear industry José Antonio Belso-Martínez

455/2009 Does playing several competitions influence a team’s league performance? Evidence from Spanish professional football Andrés J. Picazo-Tadeo & Francisco González-Gómez

456/2009 Does accessibility affect retail prices and competition? An empirical application Juan Luis Jiménez and Jordi Perdiguero

457/2009 Cash conversion cycle in smes Sonia Baños-Caballero, Pedro J. García-Teruel and Pedro Martínez-Solano

458/2009 Un estudio sobre el perfil de hogares endeudados y sobreendeudados: el caso de los hogares vascos Alazne Mujika Alberdi, Iñaki García Arrizabalaga y Juan José Gibaja Martíns

459/2009 Imposing monotonicity on outputs in parametric distance function estimations: with an application to the spanish educational production Sergio Perelman and Daniel Santin

460/2009 Key issues when using tax data for concentration analysis: an application to the Spanish wealth tax José Mª Durán-Cabré and Alejandro Esteller-Moré

461/2009 ¿Se está rompiendo el mercado español? Una aplicación del enfoque de feldstein –horioka Saúl De Vicente Queijeiro, José Luis Pérez Rivero y María Rosalía Vicente Cuervo

462/2009 Financial condition, cost efficiency and the quality of local public services Manuel A. Muñiz & José L. Zafra

463/2009 Including non-cognitive outputs in a multidimensional evaluation of education production: an international comparison Marián García Valiñas & Manuel Antonio Muñiz Pérez

464/2009 A political look into budget deficits.The role of minority governments and oppositions Albert Falcó-Gimeno & Ignacio Jurado

465/2009 La simulación del cuadro de mando integral. Una herramienta de aprendizaje en la materia de contabilidad de gestión Elena Urquía Grande, Clara Isabel Muñoz Colomina y Elisa Isabel Cano Montero

466/2009 Análisis histórico de la importancia de la industria de la desalinización en España Borja Montaño Sanz

467/2009 The dynamics of trade and innovation: a joint approach Silviano Esteve-Pérez & Diego Rodríguez

468/2009 Measuring international reference-cycles Sonia de Lucas Santos, Inmaculada Álvarez Ayuso & Mª Jesús Delgado Rodríguez

469/2009 Measuring quality of life in Spanish municipalities Eduardo González Fidalgo, Ana Cárcaba García, Juan Ventura Victoria & Jesús García García

470/2009 ¿Cómo se valoran las acciones españolas: en el mercado de capitales doméstico o en el europeo? Begoña Font Belaire y Alfredo Juan Grau Grau

471/2009 Patterns of e-commerce adoption and intensity. evidence for the european union-27 María Rosalía Vicente & Ana Jesús López

472/2009 On measuring the effect of demand uncertainty on costs: an application to port terminals Ana Rodríguez-Álvarez, Beatriz Tovar & Alan Wall

473/2009 Order of market entry, market and technological evolution and firm competitive performance Jaime Gomez, Gianvito Lanzolla & Juan Pablo Maicas

474/2009 La Unión Económica y Monetaria Europea en el proceso exportador de Castilla y León (1993-2007): un análisis de datos de panel Almudena Martínez Campillo y Mª del Pilar Sierra Fernández

475/2009 Do process innovations boost SMEs productivity growth? Juan A. Mañez, María E. Rochina Barrachina, Amparo Sanchis Llopis & Juan A. Sanchis Llopis

476/2009 Incertidumbre externa y elección del modo de entrada en el marco de la inversión directa en el exterior Cristina López Duarte y Marta Mª Vidal Suárez

477/2009 Testing for structural breaks in factor loadings: an application to international business cycle José Luis Cendejas Bueno, Sonia de Lucas Santos, Inmaculada Álvarez Ayuso & Mª Jesús Del-gado Rodríguez

478/2009 ¿Esconde la rigidez de precios la existencia de colusión? El caso del mercado de carburantes en las Islas Canarias Juan Luis Jiménez y Jordi Perdiguero

479/2009 The poni test with structural breaks Antonio Aznar & María-Isabel Ayuda

480/2009 Accuracy and reliability of Spanish regional accounts (CRE-95) Verónica Cañal Fernández

481/2009 Estimating regional variations of R&D effects on productivity growth by entropy econometrics Esteban Fernández-Vázquez y Fernando Rubiera-Morollón

482/2009 Why do local governments privatize the provision of water services? Empirical evidence from Spain Francisco González-Gómez, Andrés J. Picazo-Tadeo & Jorge Guardiola

483/2009 Assessing the regional digital divide across the European Union-27 María Rosalía Vicente & Ana Jesús López

484/2009 Measuring educational efficiency and its determinants in Spain with parametric distance functions José Manuel Cordero Ferrera, Eva Crespo Cebada & Daniel Santín González

485/2009 Spatial analysis of public employment services in the Spanish provinces Patricia Suárez Cano & Matías Mayor Fernández

486/2009 Trade effects of continental and intercontinental preferential trade agreements Salvador Gil-Pareja, Rafael Llorca-Vivero & José Antonio Martínez-Serrano

487/2009 Testing the accuracy of DEA for measuring efficiency in education under endogeneity Salvador Gil-Pareja, Rafael Llorca-Vivero & José Antonio Martínez-Serrano

488/2009 Measuring efficiency in primary health care: the effect of exogenous variables on results José Manuel Cordero Ferrera, Eva Crespo Cebada & Luis R. Murillo Zamorano

489/2009 Capital structure determinants in growth firms accessing venture funding Marina Balboa, José Martí & Álvaro Tresierra

490/2009 Determinants of debt maturity structure across firm size Víctor M. González

491/2009 Análisis del efecto de la aplicación de las NIIF en la valoración de las salidas a bolsa Susana Álvarez Otero y Eduardo Rodríguez Enríquez

492/2009 An analysis of urban size and territorial location effects on employment probabilities: the spanish case Ana Viñuela-Jiménez, Fernando Rubiera-Morollón & Begoña Cueto

493/2010 Determinantes de la estructura de los consejos de administración en España Isabel Acero Fraile y Nuria Alcalde Fradejas

494/2010 Performance and completeness in repeated inter-firm relationships: the case of franchising Vanesa Solis-Rodriguez & Manuel Gonzalez-Diaz

495/2010 A Revenue-Based Frontier Measure of Banking Competition Santiago Carbó, David Humphrey & Francisco Rodríguez

496/2010 Categorical segregation in social networks Antoni Rubí-Barceló

497/2010 Beneficios ambientales no comerciales de la directiva marco del agua en condiciones de escasez: análisis económico para el Guadalquivir Julia Martin-Ortega, Giacomo Giannoccaro y Julio Berbel Vecino

498/2010 Monetary integration and risk diversification in eu-15 sovereign debt markets Juncal Cuñado & Marta Gómez-Puig

499/2010 The Marshall Plan and the Spanish autarky: A welfare loss analysis José Antonio Carrasco Gallego

500/2010 The role of learning in firm R&D persistence Juan A. Mañez, María E. Rochina-Barrachina, Amparo Sanchis-Llopis & Juan A. Sanchis-Llopis

501/2010 Is venture capital more than just money? Marina Balboa, José Martí & Nina Zieling

502/2010 On the effects of supply strategy on business performance: do the relationships among generic competitive objectives matter? Javier González-Benito

503/2010 Corporate cash holding and firm value Cristina Martínez-Sola, Pedro J. García-Teruel & Pedro Martínez-Solano

504/2010 El impuesto de flujos de caja de sociedades: una propuesta de base imponible y su aproximación contable en España Lourdes Jerez Barroso y Joaquín Texeira Quirós

505/2010 The effect of technological, commercial and human resources on the use of new technology Jaime Gómez & Pilar Vargas

506/2010 ¿Cómo ha afectado la fiscalidad a la rentabilidad de la inversión en vivienda en España? Un análisis para el periodo 1996 y 2007 Jorge Onrubia Fernández y María del Carmen Rodado Ruiz

507/2010 Modelización de flujos en el análisis input-output a partir de la teoría de redes Ana Salomé García Muñiz

508/2010 Export-led-growth hypothesis revisited. a balance of payments approach for Argentina, Brazil, Chile and Mexico David Matesanz Gómez & Guadalupe Fugarolas Álvarez-Ude

509/2010 Realised hedge ratio properties, performance and implications for risk management: evidence from the spanish ibex 35 spot and futures markets David G McMillan & Raquel Quiroga García